Automatic Locally Stationary Time Series Forecasting with application to predicting U.K. Gross Value Added Time Series under sudden shocks caused by the COVID pandemic

Rebecca Killick, Marina I. Knight, Guy P. Nason +2

Accurate forecasting of the U.K. gross value added (GVA) is fundamental for measuring the growth of the U.K. economy. A common nonstationarity in GVA data, such as the ABML series,…